In this study, multilayer AlCoCrFeNi/MoS 2 self-lubricating coatings were fabricated on 42CrMo steel substrates via laser cladding technology. The microstructure and tribological properties of the coatings were systematically investigated. The results indicate that the dilution effect significantly influences the phase structure of the coating. The single-layer AlCoCrFeNi-10 wt% MoS 2 coating was severely diluted, and the microstructure of the coating was mainly FCC phase. As the dilution weakens, and the microstructure transitions to a B2 phase-dominated structure with a small amount of FCC phase precipitating. Among these, the three-layer coating exhibits the best performance, with a microhardness of 726.92 HV 0.5, an average coefficient of friction of 0.378, and a wear rate of only 7.22 × 10 −5 mm 3·N −1·m −1. This is attributed to the phase structure dominated by the B2 phase, along with the plastic protective layer formed by the plastic flow of the FCC phase and the sporadically distributed sulfide self-lubricating phase. This combination imparts high hardness while smoothing surface roughness peaks and reducing frictional resistance.